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Autocorrelatie en partiële correlatie met d=1

*The author of this computation has been verified*

R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 21 Dec 2009 09:53:21 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/21/t1261414554jd297buyxl2buii.htm/, Retrieved Mon, 21 Dec 2009 17:55:56 +0100

BibTeX entries for LaTeX users:

@Manual{KEY,
    author = {{YOUR NAME}},
    publisher = {Office for Research Development and Education},
    title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2009/Dec/21/t1261414554jd297buyxl2buii.htm/},
    year = {2009},
}
@Manual{R,
    title = {R: A Language and Environment for Statistical Computing},
    author = {{R Development Core Team}},
    organization = {R Foundation for Statistical Computing},
    address = {Vienna, Austria},
    year = {2009},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

467 460 448 443 436 431 484 510 513 503 471 471 476 475 470 461 455 456 517 525 523 519 509 512 519 517 510 509 501 507 569 580 578 565 547 555 562 561 555 544 537 543 594 611 613 611 594 595 591 589 584 573 567 569 621 629 628 612 595 597

Output produced by software:

Summary of computational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.266037	2.0435	0.02274
2	-0.157003	-1.206	0.116323
3	-0.350555	-2.6927	0.004606
4	-0.378808	-2.9097	0.002548
5	0.017372	0.1334	0.44715
6	0.15057	1.1565	0.126059
7	0.039112	0.3004	0.382456
8	-0.27721	-2.1293	0.018707
9	-0.231324	-1.7768	0.040375
10	-0.109569	-0.8416	0.2017
11	0.23656	1.8171	0.037144
12	0.736686	5.6586	0
13	0.150281	1.1543	0.126509
14	-0.132324	-1.0164	0.156794
15	-0.254543	-1.9552	0.027652
16	-0.277032	-2.1279	0.018766
17	0.013327	0.1024	0.459406
18	0.131917	1.0133	0.157534
19	0.027022	0.2076	0.418144
20	-0.221696	-1.7029	0.046927
21	-0.209852	-1.6119	0.05616
22	-0.096401	-0.7405	0.230977
23	0.197224	1.5149	0.067568
24	0.575754	4.4225	2.1e-05
25	0.112112	0.8612	0.196321
26	-0.107312	-0.8243	0.20655
27	-0.20094	-1.5434	0.064035
28	-0.224663	-1.7257	0.044821
29	0.018767	0.1442	0.442935
30	0.072309	0.5554	0.290355
31	0.012503	0.096	0.461907
32	-0.13358	-1.0261	0.154528
33	-0.140366	-1.0782	0.142672
34	-0.054256	-0.4167	0.339188
35	0.123603	0.9494	0.173141
36	0.363285	2.7904	0.003539
37	0.080038	0.6148	0.27053
38	-0.037387	-0.2872	0.387493
39	-0.131269	-1.0083	0.158716
40	-0.147398	-1.1322	0.131068
41	-0.006887	-0.0529	0.478996
42	0.029803	0.2289	0.409861
43	0.011349	0.0872	0.465415
44	-0.088197	-0.6775	0.250384
45	-0.064766	-0.4975	0.31035
46	-0.003186	-0.0245	0.490279
47	0.109201	0.8388	0.202487
48	0.188721	1.4496	0.076234
49	0.019624	0.1507	0.440349
50	-0.042529	-0.3267	0.372537
51	-0.0828	-0.636	0.263618
52	-0.076658	-0.5888	0.279114
53	-0.010862	-0.0834	0.466894
54	0.01475	0.1133	0.455091
55	0.020951	0.1609	0.436349
56	0.021613	0.166	0.434359
57	0.008788	0.0675	0.473205
58	9.2e-05	7e-04	0.499721
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.266037	2.0435	0.02274
2	-0.245128	-1.8829	0.032326
3	-0.26716	-2.0521	0.022303
4	-0.294877	-2.265	0.0136
5	0.089006	0.6837	0.24843
6	-0.076281	-0.5859	0.280081
7	-0.18804	-1.4444	0.076964
8	-0.455947	-3.5022	0.000443
9	-0.18281	-1.4042	0.082752
10	-0.3664	-2.8144	0.003316
11	-0.146984	-1.129	0.131733
12	0.478858	3.6782	0.000255
13	-0.30736	-2.3609	0.010778
14	0.043441	0.3337	0.369903
15	0.181653	1.3953	0.084077
16	0.109947	0.8445	0.200895
17	-0.070394	-0.5407	0.295373
18	0.155737	1.1962	0.118194
19	0.111606	0.8573	0.197384
20	0.017013	0.1307	0.448237
21	-0.130397	-1.0016	0.160313
22	0.095567	0.7341	0.232907
23	-0.051751	-0.3975	0.346213
24	-0.012073	-0.0927	0.463216
25	-0.059235	-0.455	0.325392
26	-0.015208	-0.1168	0.4537
27	-0.08918	-0.685	0.248013
28	-0.042224	-0.3243	0.373417
29	-0.028028	-0.2153	0.415144
30	-0.217889	-1.6736	0.049748
31	-0.061405	-0.4717	0.319456
32	0.084884	0.652	0.258465
33	-0.065002	-0.4993	0.309715
34	-0.104248	-0.8007	0.213246
35	-0.055724	-0.428	0.335096
36	-0.142066	-1.0912	0.139805
37	0.015786	0.1213	0.451952
38	-0.025889	-0.1989	0.421528
39	-0.11476	-0.8815	0.190815
40	-0.00593	-0.0455	0.481913
41	-0.048975	-0.3762	0.354064
42	0.007081	0.0544	0.478405
43	-0.086309	-0.663	0.254972
44	-0.058784	-0.4515	0.326633
45	0.152917	1.1746	0.122441
46	0.066977	0.5145	0.304425
47	0.069787	0.536	0.296971
48	-0.062266	-0.4783	0.317111
49	0.088777	0.6819	0.248982
50	-0.006364	-0.0489	0.480588
51	0.029334	0.2253	0.411256
52	-0.112887	-0.8671	0.1947
53	-0.040924	-0.3143	0.377185
54	-0.026996	-0.2074	0.41822
55	-0.010212	-0.0784	0.468873
56	0.059038	0.4535	0.325934
57	-0.01131	-0.0869	0.465532
58	-0.043393	-0.3333	0.370042
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/21/t1261414554jd297buyxl2buii/1c3y81261414399.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/21/t1261414554jd297buyxl2buii/1c3y81261414399.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/21/t1261414554jd297buyxl2buii/2ucyp1261414399.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/21/t1261414554jd297buyxl2buii/2ucyp1261414399.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

R code (references can be found in the software module):

if (par1 == 'Default') {

par1 = 10*log10(length(x))

} else {

par1 <- as.numeric(par1)

}

par2 <- as.numeric(par2)

par3 <- as.numeric(par3)

par4 <- as.numeric(par4)

par5 <- as.numeric(par5)

if (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

if (par2 == 0) {

x <- log(x)

} else {

x <- (x ^ par2 - 1) / par2

}

if (par3 > 0) x <- diff(x,lag=1,difference=par3)

if (par4 > 0) x <- diff(x,lag=par5,difference=par4)

bitmap(file='pic1.png')

racf <- acf(x, par1, main='Autocorrelation', xlab='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

dev.off()

bitmap(file='pic2.png')

rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF')

dev.off()

(myacf <- c(racf$acf))

(mypacf <- c(rpacf$acf))

lengthx <- length(x)

sqrtn <- sqrt(lengthx)

load(file='createtable')

a<-table.start()

a<-table.row.start(a)

a<-table.element(a,'Autocorrelation Function',4,TRUE)

a<-table.row.end(a)

a<-table.row.start(a)

a<-table.element(a,'Time lag k',header=TRUE)

a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','ACF(k)','click here for more information about the Autocorrelation Function'),header=TRUE)

a<-table.element(a,'T-STAT',header=TRUE)

a<-table.element(a,'P-value',header=TRUE)

a<-table.row.end(a)

for (i in 2:(par1+1)) {

a<-table.row.start(a)

a<-table.element(a,i-1,header=TRUE)

a<-table.element(a,round(myacf[i],6))

mytstat <- myacf[i]*sqrtn

a<-table.element(a,round(mytstat,4))

a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))

a<-table.row.end(a)

}

a<-table.end(a)

table.save(a,file='mytable.tab')

a<-table.start()

a<-table.row.start(a)

a<-table.element(a,'Partial Autocorrelation Function',4,TRUE)

a<-table.row.end(a)

a<-table.row.start(a)

a<-table.element(a,'Time lag k',header=TRUE)

a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','PACF(k)','click here for more information about the Partial Autocorrelation Function'),header=TRUE)

a<-table.element(a,'T-STAT',header=TRUE)

a<-table.element(a,'P-value',header=TRUE)

a<-table.row.end(a)

for (i in 1:par1) {

a<-table.row.start(a)

a<-table.element(a,i,header=TRUE)

a<-table.element(a,round(mypacf[i],6))

mytstat <- mypacf[i]*sqrtn

a<-table.element(a,round(mytstat,4))

a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))

a<-table.row.end(a)

}

a<-table.end(a)

table.save(a,file='mytable1.tab')

This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa

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